Strategic asset allocation with liabilities: beyond stocks and bonds

DOI10.1016/J.JEDC.2007.11.003zbMATH Open1181.91097OpenAlexW3121831272MaRDI QIDQ844772FDOQ844772

Authors Roy P. M. M. Hoevenaars, Roderick D. J. Molenaar, Peter C. Schotman, Tom B. M. Steenkamp

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://cris.maastrichtuniversity.nl/en/publications/5b697aa0-725d-455e-9332-2af9ac83b3a5

zbMATH Keywords

portfolio choicepension fundsasset-liability managementstrategic asset allocation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• On optimal portfolio choice under stochastic interest rates
• Predictable returns and asset allocation: should a skeptical investor time the market?
• Predicting the equity premium with dividend ratios
• Strategic asset allocation
• Strategic asset allocation in a continuous-time VAR model

Cited in

(10)

• scientific article; zbMATH DE number 2065345 (Why is no real title available?)
• Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints
• Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
• Strategic asset allocation
• Optimal investment strategy for asset-liability management under the Heston model
• Spectral decomposition of optimal asset-liability management
• Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
• Dynamic asset-liability management in a Markov market with stochastic cash flows
• Valuation of intergenerational transfers in funded collective pension schemes
• Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework

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